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include default buy/sell trends for the hyperopt strategy

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This commit is contained in:
Matthias 2019-01-06 14:13:15 +01:00
parent a0df7b9d7c
commit 167088827a
2 changed files with 80 additions and 12 deletions
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46
freqtrade/optimize/default_hyperopt.py
View File

@ -33,6 +33,7 @@ class DefaultHyperOpts(IHyperOpt):
# Bollinger bands # Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_upperband'] = bollinger['upper']
dataframe['sar'] = ta.SAR(dataframe) dataframe['sar'] = ta.SAR(dataframe)
return dataframe return dataframe
@ -111,21 +112,21 @@ class DefaultHyperOpts(IHyperOpt):
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
conditions.append(dataframe['fastd'] > params['sell-fastd-value']) conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']: if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
conditions.append(dataframe['adx'] > params['sell-adx-value']) conditions.append(dataframe['adx'] < params['sell-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
conditions.append(dataframe['rsi'] > params['sell-rsi-value']) conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
# TRIGGERS # TRIGGERS
if 'sell-trigger' in params: if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-bb_lower': if params['sell-trigger'] == 'sell-bb_upper':
conditions.append(dataframe['close'] < dataframe['bb_lowerband']) conditions.append(dataframe['close'] > dataframe['bb_upperband'])
if params['sell-trigger'] == 'sell-macd_cross_signal': if params['sell-trigger'] == 'sell-macd_cross_signal':
conditions.append(qtpylib.crossed_above( conditions.append(qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal'] dataframe['macdsignal'], dataframe['macd']
)) ))
if params['sell-trigger'] == 'sell-sar_reversal': if params['sell-trigger'] == 'sell-sar_reversal':
conditions.append(qtpylib.crossed_above( conditions.append(qtpylib.crossed_above(
dataframe['close'], dataframe['sar'] dataframe['sar'], dataframe['close']
)) ))
dataframe.loc[ dataframe.loc[
@ -150,7 +151,7 @@ class DefaultHyperOpts(IHyperOpt):
Categorical([True, False], name='sell-fastd-enabled'), Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'), Categorical([True, False], name='sell-adx-enabled'),
Categorical([True, False], name='sell-rsi-enabled'), Categorical([True, False], name='sell-rsi-enabled'),
Categorical(['sell-bb_lower', Categorical(['sell-bb_upper',
'sell-macd_cross_signal', 'sell-macd_cross_signal',
'sell-sar_reversal'], name='sell-trigger') 'sell-sar_reversal'], name='sell-trigger')
] ]
@ -190,3 +191,36 @@ class DefaultHyperOpts(IHyperOpt):
Real(0.01, 0.07, name='roi_p2'), Real(0.01, 0.07, name='roi_p2'),
Real(0.01, 0.20, name='roi_p3'), Real(0.01, 0.20, name='roi_p3'),
] ]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include buy
"""
dataframe.loc[
(
(dataframe['close'] < dataframe['bb_lowerband']) &
(dataframe['mfi'] < 16) &
(dataframe['adx'] > 25) &
(dataframe['rsi'] < 21)
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include sell
"""
dataframe.loc[
(
(qtpylib.crossed_above(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] > 54)
),
'sell'] = 1
return dataframe

46
user_data/hyperopts/sample_hyperopt.py
View File

@ -42,6 +42,7 @@ class SampleHyperOpts(IHyperOpt):
# Bollinger bands # Bollinger bands
bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2) bollinger = qtpylib.bollinger_bands(qtpylib.typical_price(dataframe), window=20, stds=2)
dataframe['bb_lowerband'] = bollinger['lower'] dataframe['bb_lowerband'] = bollinger['lower']
dataframe['bb_upperband'] = bollinger['upper']
dataframe['sar'] = ta.SAR(dataframe) dataframe['sar'] = ta.SAR(dataframe)
return dataframe return dataframe
@ -120,21 +121,21 @@ class SampleHyperOpts(IHyperOpt):
if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']: if 'sell-fastd-enabled' in params and params['sell-fastd-enabled']:
conditions.append(dataframe['fastd'] > params['sell-fastd-value']) conditions.append(dataframe['fastd'] > params['sell-fastd-value'])
if 'sell-adx-enabled' in params and params['sell-adx-enabled']: if 'sell-adx-enabled' in params and params['sell-adx-enabled']:
conditions.append(dataframe['adx'] > params['sell-adx-value']) conditions.append(dataframe['adx'] < params['sell-adx-value'])
if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']: if 'sell-rsi-enabled' in params and params['sell-rsi-enabled']:
conditions.append(dataframe['rsi'] > params['sell-rsi-value']) conditions.append(dataframe['rsi'] > params['sell-rsi-value'])
# TRIGGERS # TRIGGERS
if 'sell-trigger' in params: if 'sell-trigger' in params:
if params['sell-trigger'] == 'sell-bb_lower': if params['sell-trigger'] == 'sell-bb_upper':
conditions.append(dataframe['close'] < dataframe['bb_lowerband']) conditions.append(dataframe['close'] > dataframe['bb_upperband'])
if params['sell-trigger'] == 'sell-macd_cross_signal': if params['sell-trigger'] == 'sell-macd_cross_signal':
conditions.append(qtpylib.crossed_above( conditions.append(qtpylib.crossed_above(
dataframe['macd'], dataframe['macdsignal'] dataframe['macdsignal'], dataframe['macd']
)) ))
if params['sell-trigger'] == 'sell-sar_reversal': if params['sell-trigger'] == 'sell-sar_reversal':
conditions.append(qtpylib.crossed_above( conditions.append(qtpylib.crossed_above(
dataframe['close'], dataframe['sar'] dataframe['sar'], dataframe['close']
)) ))
dataframe.loc[ dataframe.loc[
@ -159,7 +160,7 @@ class SampleHyperOpts(IHyperOpt):
Categorical([True, False], name='sell-fastd-enabled'), Categorical([True, False], name='sell-fastd-enabled'),
Categorical([True, False], name='sell-adx-enabled'), Categorical([True, False], name='sell-adx-enabled'),
Categorical([True, False], name='sell-rsi-enabled'), Categorical([True, False], name='sell-rsi-enabled'),
Categorical(['sell-bb_lower', Categorical(['sell-bb_upper',
'sell-macd_cross_signal', 'sell-macd_cross_signal',
'sell-sar_reversal'], name='sell-trigger') 'sell-sar_reversal'], name='sell-trigger')
] ]
@ -199,3 +200,36 @@ class SampleHyperOpts(IHyperOpt):
Real(0.01, 0.07, name='roi_p2'), Real(0.01, 0.07, name='roi_p2'),
Real(0.01, 0.20, name='roi_p3'), Real(0.01, 0.20, name='roi_p3'),
] ]
def populate_buy_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include buy
"""
dataframe.loc[
(
(dataframe['close'] < dataframe['bb_lowerband']) &
(dataframe['mfi'] < 16) &
(dataframe['adx'] > 25) &
(dataframe['rsi'] < 21)
),
'buy'] = 1
return dataframe
def populate_sell_trend(self, dataframe: DataFrame, metadata: dict) -> DataFrame:
"""
Based on TA indicators. Should be a copy of from strategy
must align to populate_indicators in this file
Only used when --spaces does not include sell
"""
dataframe.loc[
(
(qtpylib.crossed_above(
dataframe['macdsignal'], dataframe['macd']
)) &
(dataframe['fastd'] > 54)
),
'sell'] = 1
return dataframe